The 25-year-old singer made the revelation in a now-deleted Facebook post she shared on Tuesday, December 20, reported Us magazine.
"So I've just had a really major life event happen and I want to talk about it because this wouldn't be an Azealia Banks page without loads of oversharing right?
"Anywho, I've just had a miscarriage and am pretty taken aback by it all and really confused and in shock and guilty and a bit depressed and like a failure and very ashamed," Banks wrote.
She also urged her fans to share words of wisdom regarding the topic, as a way to heal.
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